Upon reading recent studies suggesting that heat build up in legs caused by booting and bandaging is causing long term, detrimental effects to the structures of the legs, I am very careful about what I put on my horse's legs in an effort to keep them cool during exercise.
I use Eskadron Climatex liners with thin, fleece polos on the legs of my horse, with no turn boots in front and bell boots behind for schooling. I have also recently purchased EcoGold splint boots which claim to have high airflow and engineered fabrics which do not keep heat by the legs to use at shows. I try to avoid neoprene and any heat-trapping fabrics at all costs now :)
They say money doesn't buy happiness -- well happiness doesn't buy horses!